Market impact and trading profile of hidden orders in stock markets.
We empirically study the market impact of trading orders. We are specifically interested in large trading orders that are executed incrementally, which we call hidden orders. These are statistically reconstructed based on information about market member codes using data from the Spanish Stock Market...
| Principais autores: | , , , , , , , |
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| Formato: | Journal article |
| Idioma: | English |
| Publicado em: |
2009
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